If the Delta returned by the EPM is a single value, then that would appear to correspond to the ‘Delta by Leg’ result.
Also, if the EPM in question is some kind of simple option valuation, and if the model valuation function has reasonable performance, then you can leave the Tran Gridpoint Delta simulation to run as normal. That is, it will shock the curve inputs sequentially and re-run the base valuation (via the IM) over and over again.
If the EPM Delta output was a vector corresponding to input price gridpoints, and/or the valuation takes long to run, then you would look to map the Delta to Tran Gridpoint Delta result.
Bear in mind that the Tran Gridpoint Delta result is more useful to have ultimately, as it is more general, and is used in more places downstream – in APM, VaR etc.
We have unrivalled expertise in successful C/ETRM and TMS implementations, and digital transformation projects, as well as defining market solutions that have become system industry standards. We have a proven track record of successful deliveries at greenfield projects and at existing clients.
Copyright 2022 KWA Analytics